Modelling the yield curve with some parametric models.
The models implemented are: Nelson-Siegel, Diebold-Li and
Svensson. The package also includes the data of the term
structure of interest rate of Federal Reserve Bank and European
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Sergio Salvino Guirreri, 9 years ago
Browse source code at
Sergio Salvino Guirreri
GPL (>= 2)
Depends on xts
See at CRAN